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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Does the corporate bond market overvalue bonds of sin companies?

Fabozzi, Frank J.; Lamba, Asjeet S.; Nishikawa, Takeshi; … - In: Finance research letters 28 (2019), pp. 165-170

Persistent link: https://www.econbiz.de/10012388298

Fundamental multifactor equity risk models

Fabozzi, Frank J.; Vardharaj, Raman; Jones, Frank Joseph - 2008

Persistent link: https://www.econbiz.de/10003764728

Equity Premium Puzzle or Faulty Economic Modelling?

Shirvani, Abootaleb - 2020

In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate distribution for the return data. We demonstrate that the high-risk aversion value observed by Mehra...

Persistent link: https://www.econbiz.de/10012842459